Re: [Gretl-devel] VECM experts ahoy!
Am 03.04.2011 00:38, schrieb Allin Cottrell:
Now, as I understand it, PSS have a "Case II" which is identical
to Johansen's restricted constant. Fine. But they also have a
"Case III" which in some way resembles Johansen's unrestricted
constant case except that it does _not_ generate a trend in Y.
This I'm not getting. Can anyone help? I don't understand how you
can "unrestrict" the constant and yet not have it leak out of the
cointegration space into a trend in Y.
Maybe it's just a misunderstanding: when they say "Case III:
(Unrestricted intercepts; no trends.)" I interpret it as "the trend term
in the equation for the VECM disappears", not as "the trend in the
process is absent". So it's just the standard cases IMO.
If that's not what you meant, could you be more specific with page
numbers etc.?
cheers,
sven